Advanced Econometrics II - Time Series Econometrics

Teacher(s)

Van Bellegem Sébastien;

Language

English

Main themes

The course must cover the important and essential themes of the econometrics of time series analysis and their application in some fields of economics, like macroeconomics and finance. The basic concepts of stationarity and ergodicity are taught in the prerequisite course. The main themes for this course are those of linear time series models (autoregressive and moving average models), unit roots and cointegration. Both univariate and multivariate models must be taught. For non linear time series models, a selection of topics has to be done mainly among ARCH models, Makov-switching models, and state-space models. In all topics, the themes of model building, evaluation and prediction are included.

Learning outcomes

At the end of this learning unit, the student is able to :
1	The purpose is to train the students in the tools and models useful for the econometric analysis of economic time-series. Students will learn to understand in depth and apply correctly the techniques. The course prepares to research in the field of time-series analysis and its applications.

Content

1. Constructive analysis
2. Conditional expectation in Banach space
3. Dynamical modelling

Teaching methods

Weekly lecture.

Evaluation methods

Based on a reading, the student will present a chapter orally during the lecture.
Second session exam : oral exam based on a reading of a chapter book.

Online resources

 Moodle UCL ( > https://moodleucl.uclouvain.be/).

Bibliography

Errett Bishop (1967). Foundations of Constructive Analysis. New York: McGraw-Hill.
Jacques Neveu (1975). Discrete-Parameter Martingales. Amsterdam: North-Holland Publishing Company.

Faculty or entity

> ECON